Predicting the present with Bayesian structural time series

@article{Scott2014PredictingTP,
  title={Predicting the present with Bayesian structural time series},
  author={S. L. Scott and H. Varian},
  journal={Int. J. Math. Model. Numer. Optimisation},
  year={2014},
  volume={5},
  pages={4-23}
}
This article describes a system for short term forecasting based on an ensemble prediction that averages over different combinations of predictors. The system combines a structural time series model for the target series with regression component capturing the contributions of contemporaneous search query data. A spike-and-slab prior on the regression coefficients induces sparsity, dramatically reducing the size of the regression problem. Our system averages over potential contributions from a… Expand
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